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Seminar 217, Risk Management: The role of dynamic and static volatility interruptions: Evidence from the Korean stock markets

Risk Seminar

Mar 1, 2018 12:30pm to 2:00pm

Location:

1011 Evans Hall

Status:

Happening As Scheduled

We conduct a comprehensive analysis on the sequential introductions of dynamic and static volatility interruption (VI) in the Korean stock markets. The Korea Exchange introduced VIs to improve price formation, and to limit damage to investors from brief periods of abnormal volatility, for individual stocks. We find that dynamic VI is effective in stabilizing markets and price discovery, while the...